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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Asset Commonality and Systemic Risk Among Large Banks in the United States

Asset Commonality and Systemic Risk Among Large Banks in the United States

U. S. Department of the Treasury

Paperback

Accounting

ISBN10: 1507563493
ISBN13: 9781507563496
Publisher: Createspace
Published: Jan 14 2015
Pages: 30
Weight: 0.21
Height: 0.06 Width: 8.50 Depth: 11.02
Language: English
In this book, we present a compellingly simple yet innovative approach to capturing the buildup of systemic risk associated with commonalities in bank's asset holdings. We draw on a growing strand of theoretical literature that studies the systemic externalities of banks' balance sheet asset side allocations. By applying data aggregation and clustering techniques to publically available balance sheet data, we uncover interesting patterns in the asset holdings of the major bank holding companies in the United States during the years 2001-2013. We augment our findings with theoretical analysis and insight. Based on our analysis, we construct a novel measure of systemic risk, ACRISK, where AC stands for asset commonality. This measure captures well the buildup of systemic risk that culminated in the global credit crisis, and provides empirical support to the asset commonality theoretical notions.

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